Factor model


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Factor model

A way of decomposing the forces that influence a security's rate of return into common and firm-specific influences.

Factor Model

A mathematical calculation of the extent to which macroeconomic factors affect the securities in a portfolio. Factor models attempt to account for contingencies like changes in interest rates or inflation. Factor models fall into three main categories. A statistical factor model attempts to explain risks particular to an investment. A fundamental factor model looks at risks to an industry or market that may affect a portfolio. Finally, a macroeconomic factor model considers relevant risks to the wider economy. See also: Risk analysis.
References in periodicals archive ?
Model 2 was a second order factor model measured by five underlying first-order factors that represented the five subscales of the PHCI.
E/P-augmented FF3 model is a four factor model consisting of MKT, SMB, HML and HEMLE portfolios.
Before we focus on this issue, we describe alternative factor models used in this research.
05), thereby indicating that the hierarchical factor model showed a significantly better fit to the data.
When conducting a confirmatory factor analysis with a nested factor model they concluded that the model fit was satisfactory for a general factor and three dimensions.
became a pioneer in the field of quantitative investing when he invented the first Expected Return Factor Model, capitalizing on natural inefficiencies in the market.
However, studies carried out with the WISC-R on gifted children reached no conclusion, yielding mixed results, ranging from single factor models to multivariate models.
To investigate the relationship between Five Factor Model of Personality (FFM) and students' performance in medical college.
We establish this fact by drawing comparisons between the static factor model for the CFNAI and several dynamic factor models that include quarterly real GDP growth but differ from the Brauning and Koopman (2014) methodology in how they include it.
Capital Asset Pricing Model (CAPM), Inter-temporal Capital Asset Pricing Model (ICAPM), Arbitrage Pricing Theory (APT), Three and Four Factor Model (TFM, FFM) to Seven Factor Model.
One method to formalize the task of determining the maximum number of uncorrelated strategies to include in a global portfolio is the selection of the number of factors in a large-dimensional Factor model.
s (2011) three factor model is to offer an alternative approach to estimating expected returns?